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Prokopczuk, Marcel


 SSRN Author Rank: 2,521 by Downloads
 

Leibniz Universität Hannover - Faculty of Economics and Management


 Koenigsworther Platz 1
 Hannover, 30167
 Germany
 email address
 

University of Reading - Henley Business School - ICMA Centre


 Whiteknights Park
 P.O. Box 242
 Reading RG6 6BA
 United Kingdom
 email address

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. Prokopczuk, Marcel's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
8,966
Total
Citations
26
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
The Dynamics of Commodity Prices | Show Abstract | Download This Paper |
Quantitative Finance, Vol. 13, No. 4, 2013
Number of Pages in PDF File: 42
Brooks, Chris
University of Reading - ICMA Centre
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
23 May 11
Last Revised:
29 Dec 13
703
(20,598)
3

2.  
Investing in Commodity Futures Markets: Can Pricing Models Help? | Show Abstract | Download This Paper |
European Journal of Finance, Vol. 18, No. 1-2, 2012
Number of Pages in PDF File: 41
Paschke, Raphael
University of Mannheim - Department of Business Administration and Finance
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
27 Feb 09
Last Revised:
24 Apr 12
631
(23,958)
 

3.  
Integrating Multiple Commodities in a Model of Stochastic Price Dynamics | Show Abstract | Download This Paper |
Journal of Energy Markets, Vol. 2, No. 3, 2009
Number of Pages in PDF File: 41
Paschke, Raphael
University of Mannheim - Department of Business Administration and Finance
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
06 Mar 08
Last Revised:
24 Apr 12
613
(24,969)
4

4.  
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Wese Simen, Chardin
University of Liverpool
Posted:
04 Jan 13
Last Revised:
07 Apr 14
599
(25,841)
2

5.  
Seasonality and the Valuation of Commodity Options | Show Abstract | Download This Paper |
Journal of Banking and Finance, Vol. 37, No. 2, 2013
Number of Pages in PDF File: 61
Back, Janis
WHU - Otto Beisheim School of Management
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Rudolf, Markus
WHU Otto Beisheim Graduate School of Management
Posted:
29 Nov 09
Last Revised:
02 Jan 13
553
(28,830)
4

6.  
Credit Risk in Covered Bonds | Show Abstract | Download This Paper |
Journal of Empirical Finance, Vol. 21, No. 1, 2013
Number of Pages in PDF File: 46
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Siewert, Jan B.
Unversity of Mannheim – Center for Doctoral Studies in Business
Vonhoff, Volker
University of Mannheim - Department of Business Administration and Finance
Posted:
04 Oct 10
Last Revised:
29 Dec 13
483
(34,413)
 

7.  
Commodity Futures Prices: More Evidence on Forecast Power, Risk Premia and the Theory of Storage | Show Abstract | Download This Paper |
Quarterly Review of Economics and Finance, Vol. 53, No. 1, 2013
Number of Pages in PDF File: 35
Brooks, Chris
University of Reading - ICMA Centre
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Wu, Yingying
Xi'an Jiaotong Liverpool University
Posted:
25 Oct 11
Last Revised:
29 Dec 13
472
(35,469)
 

8.  
Commodity Price Dynamics and Derivatives Valuation: A Review | Show Abstract | Download This Paper |
International Journal of Theoretical and Applied Finance, Vol. 16, No. 6, 2013
Number of Pages in PDF File: 39
Back, Janis
WHU - Otto Beisheim School of Management
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
22 Aug 12
Last Revised:
29 Dec 13
426
(40,350)
 

9.  
Pricing and Hedging in the Freight Futures Market | Show Abstract | Download This Paper |
Journal of Futures Markets, Vol. 31, No. 5, 2011
Number of Pages in PDF File: 36
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
06 Mar 10
Last Revised:
26 Apr 12
412
(42,120)
2

10.  
The Importance of the Volatility Risk Premium for Volatility Forecasting | Show Abstract | Download This Paper |
Journal of Banking and Finance, Vol. 40, 2014
Number of Pages in PDF File: 50
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Wese Simen, Chardin
University of Liverpool
Posted:
21 Mar 13
Last Revised:
15 Jun 14
391
(44,911)
 

11.  
Estimating Beta | Show Abstract | Download This Paper |
Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of Pages in PDF File: 78
Hollstein, Fabian
Leibniz Universität Hannover - Faculty of Economics and Management
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
15 Dec 14
388
(45,312)
 

12.  
Paschke, Raphael
University of Mannheim - Department of Business Administration and Finance
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
22 Jul 09
Last Revised:
26 Apr 12
385
(45,716)
2

13.  
Futures Basis, Inventory and Commodity Price Volatility: An Empirical Analysis | Show Abstract | Download This Paper |
Economic Modelling, Vol. 29, No. 6, 2012
Number of Pages in PDF File: 36
Symeonidis, Lazaros
University of East Anglia (UEA) - Norwich Business School
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Brooks, Chris
University of Reading - ICMA Centre
Lazar, Emese
University of Reading - ICMA Centre
Posted:
25 Oct 11
Last Revised:
02 Jan 13
358
(49,947)
3

14.  
American Option Valuation: Implied Calibration of GARCH Pricing-Models | Show Abstract | Download This Paper |
Journal of Futures Markets, Vol. 31, No. 10, 2011
Number of Pages in PDF File: 36
Weber, Michael
University of Chicago - Finance
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
09 Sep 09
Last Revised:
26 Apr 12
306
(60,179)
 

15.  
Bühler, Wolfgang
University of New South Wales, Australian Business School
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
24 May 10
303
(60,881)
1

16.  
Mahringer, Steffen
University of St.Gallen - Swiss Institute of Banking and Finance
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
11 Mar 10
Last Revised:
26 Jul 11
282
(66,004)
 

17.  
The Case of Negative Day-Ahead Electricity Prices | Show Abstract | Download This Paper |
Energy Economics, Vol. 35, No. 1, 2013
Number of Pages in PDF File: 46
Fanone, Enzo
Energetic Source Spa - Renova Group
Gamba, Andrea
University of Warwick - Finance Group
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
13 May 11
Last Revised:
11 Mar 14
242
(77,787)
3

18.  
The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread | Show Abstract | Download This Paper |
Energy Economics, Vol. 36, No. 1, 2013
Number of Pages in PDF File: 26
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Sumawong, Anannit
University of Sussex
Posted:
16 Jan 12
Last Revised:
29 Dec 13
194
(97,386)
 

19.  
Intra-Industry Contagion Effects of Earnings Surprises in the Banking Sector | Show Abstract | Download This Paper |
Applied Financial Economics, Vol. 20, No. 20, 2010
Number of Pages in PDF File: 31
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
02 Feb 10
Last Revised:
26 Apr 12
165
(113,127)
1

20.  
Electricity Derivatives Pricing with Forward-Looking Information | Show Abstract | Download This Paper |
University of St.Gallen, School of Finance Research Paper No. 2013/17
Number of Pages in PDF File: 65
Füss, Roland
University of St. Gallen - SoF: School of Finance
Mahringer, Steffen
University of St.Gallen - Swiss Institute of Banking and Finance
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
19 Feb 13
Last Revised:
20 Oct 13
160
(116,241)
 

21.  
D'Acunto, Francesco
University of California, Berkeley
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Weber, Michael
University of Chicago - Finance
Posted:
16 Dec 13
Last Revised:
29 Sep 14
137
(132,701)
 

22.  
Optimal Portfolio Choice in the Presence of Domestic Systemic Risk: Empirical Evidence from Stock Markets | Show Abstract | Download This Paper |
Decisions in Economics and Finance, Vol. 34, No. 2, pp. 141-168, 2011
Number of Pages in PDF File: 41
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
10 Feb 11
Last Revised:
30 Jan 12
131
(137,711)
1

23.  
Booms and Busts in Commodity Markets: Bubbles or Fundamentals? | Show Abstract | Download This Paper |
Journal of Futures Markets, Forthcoming
Number of Pages in PDF File: 38
Brooks, Chris
University of Reading - ICMA Centre
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Wu, Yingying
Xi'an Jiaotong Liverpool University
Posted:
02 Feb 14
Last Revised:
01 Mar 15
105
(162,712)
 

24.  
Time-Variations in Commodity Price Jumps | Show Abstract | Download This Paper |
Journal of Empirical Finance, Forthcoming
Number of Pages in PDF File: 32
Diewald, Laszlo
Technische Universität München (TUM)
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Wese Simen, Chardin
University of Liverpool
Posted:
10 Aug 13
Last Revised:
21 Feb 15
99
(169,557)
 

25.  
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Wu, Yingying
Xi'an Jiaotong Liverpool University
Posted:
30 Dec 13
Last Revised:
03 Nov 14
89
(181,997)
 

26.  
Neumann, Maximilian
Technische Universität München (TUM)
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Wese Simen, Chardin
University of Liverpool
Posted:
02 Jul 14
75
(202,015)
 

27.  
Electricity Spot and Derivatives Pricing When Markets are Interconnected | Show Abstract | Download This Paper |
University of St.Gallen, School of Finance Research Paper No. 13/23
Number of Pages in PDF File: 41
Füss, Roland
University of St. Gallen - SoF: School of Finance
Mahringer, Steffen
University of St.Gallen - Swiss Institute of Banking and Finance
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
13 Jan 14
Last Revised:
03 Mar 15
70
(210,174)
 

28.  
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Wese Simen, Chardin
University of Liverpool
Posted:
14 Jun 14
64
(220,583)
 

29.  
Füss, Roland
University of St. Gallen - SoF: School of Finance
Mahringer, Steffen
University of St.Gallen - Swiss Institute of Banking and Finance
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
15 Oct 14
43
(265,038)
 

30.  
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Symeonidis, Lazaros
University of East Anglia (UEA) - Norwich Business School
Verlaat, Timo
Zeppelin University
Posted:
15 Jun 14
35
(286,376)
 

31.  
Arismendi, J. C.
University of Reading - ICMA Centre
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
25 Aug 14
30
(301,784)
 

32.  
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Vicedom, Sebastian
Leibniz Universität Hannover - Faculty of Economics and Management
Posted:
18 Mar 15
22
(336,932)
 

33.  
Risk Premia in Covered Bond Markets | Show Abstract |
Journal of Fixed Income, Vol. 22, No. 2, 2012
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Vonhoff, Volker
University of Mannheim - Department of Business Administration and Finance
Posted:
18 Jan 12
Last Revised:
02 Jan 13
 

34.  
Back, Janis
WHU - Otto Beisheim School of Management
Paschke, Raphael
University of Mannheim - Department of Business Administration and Finance
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Rudolf, Markus
WHU Otto Beisheim Graduate School of Management
Posted:
05 Jul 11
Last Revised:
28 Mar 13
 

35.  
Rachev, Svetlozar
Stony Brook University
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Schindlmayr, Gero
affiliation not provided to SSRN
Trueck, Stefan
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Posted:
24 Oct 07
 


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